Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0784 |
| Annualized Std Dev | 0.1922 |
| Annualized Sharpe (Rf=0%) | 0.4081 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4315.0000 |
| NAs | 1.0000 |
| Minimum | -0.1157 |
| Quartile 1 | -0.0041 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0057 |
| Maximum | 0.1078 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0121 |
| Skewness | -0.3289 |
| Kurtosis | 12.6251 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0089 |
| Gain Deviation | 0.0086 |
| Loss Deviation | 0.0101 |
| Downside Deviation (MAR=210%) | 0.0134 |
| Downside Deviation (Rf=0%) | 0.0087 |
| Downside Deviation (0%) | 0.0087 |
| Maximum Drawdown | 0.5633 |
| Historical VaR (95%) | -0.0177 |
| Historical ES (95%) | -0.0300 |
| Modified VaR (95%) | -0.0176 |
| Modified ES (95%) | -0.0274 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2013-02-14 | -0.5633 | 1347 | 355 | 992 |
| 2020-02-20 | 2020-03-23 | 2020-08-24 | -0.3500 | 130 | 23 | 107 |
| 2018-09-21 | 2018-12-24 | 2019-07-03 | -0.2095 | 196 | 65 | 131 |
| 2015-05-22 | 2016-02-11 | 2016-07-12 | -0.1573 | 287 | 183 | 104 |
| 2018-01-29 | 2018-02-08 | 2018-08-06 | -0.0988 | 132 | 9 | 123 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | -0.2 | 0.9 | 0.4 | -0.1 | 0.3 | -1 | 0.1 | 0.9 | 1.5 | 0 | 1.4 | -0.1 | 4.1 |
| 2005 | 0.6 | 0.4 | -0.6 | 1 | 0.7 | 0 | 0.3 | 0.4 | 0 | -0.2 | 1.2 | -0.4 | 3.5 |
| 2006 | 0.2 | 0.9 | -0.2 | -0.6 | 1.2 | 0.1 | -0.6 | 0.6 | -0.3 | -0.7 | -0.3 | -0.6 | -0.2 |
| 2007 | 0.3 | -0.4 | -0.1 | 0.2 | 0.3 | -0.6 | 0.9 | 1.2 | 1.3 | -2.6 | 0.6 | -0.7 | 0.3 |
| 2008 | 1.4 | -2.8 | 3.6 | 1.9 | 0.1 | 0.2 | -0.4 | -1 | -0.3 | 1.1 | -9.1 | 1.6 | -4 |
| 2009 | -2.5 | -2.2 | 2.1 | 0.2 | 2.9 | 0.5 | 0.1 | -2.1 | -2.6 | -2.9 | 1.2 | -1 | -6.5 |
| 2010 | 1.3 | 1.2 | 0.6 | -1.6 | -1.6 | -0.4 | 0.1 | 3.1 | 0.4 | -0.1 | 2.2 | -0.1 | 5.1 |
| 2011 | 1.8 | -1.6 | 0.4 | 0.2 | -2.3 | 1.5 | -0.4 | -1.5 | -2.4 | -3 | 0.1 | -0.3 | -7.3 |
| 2012 | 1 | 0.8 | 0.3 | 0.6 | -2.6 | 2.7 | -0.4 | -1.8 | 0.1 | 1 | -0.1 | 1.8 | 3.2 |
| 2013 | 1 | 0.2 | -0.5 | -1 | -1.4 | 0.7 | 1.3 | -0.5 | 0.8 | 0.3 | 0 | 0.5 | 1.3 |
| 2014 | -0.6 | 0.2 | 0.7 | 0 | 0.1 | 0.8 | -0.3 | 0.4 | -1.3 | 1.2 | -0.6 | -1 | -0.5 |
| 2015 | -1.2 | -0.3 | -0.3 | 1 | 0.2 | 0.8 | -0.1 | -3 | 0.2 | -0.5 | 1.1 | -0.9 | -3 |
| 2016 | 0.1 | 2.4 | 0.5 | -0.6 | 0.1 | 0.3 | -0.1 | 0 | 0.8 | -0.7 | -0.3 | -0.4 | 2.3 |
| 2017 | 0 | 1.4 | -0.2 | 0.3 | 0.9 | 0.1 | 0.2 | 0.3 | 0.3 | 0.1 | -0.1 | -0.4 | 2.9 |
| 2018 | -0.1 | -1.2 | 1.4 | 0.2 | 1.1 | 0.1 | 0 | 0 | 0.2 | 1.2 | 0.7 | 1 | 4.6 |
| 2019 | 0.2 | 0.7 | 1.2 | -0.7 | -1.3 | 0.8 | -0.7 | 0 | -1.3 | 1 | -0.5 | 0.3 | -0.3 |
| 2020 | -1.8 | -0.7 | -4.8 | -2.8 | 0.6 | 0.5 | 0.5 | 0.9 | 0.8 | -1.1 | 1.1 | 0.4 | -6.2 |
| 2021 | 1.7 | 2.5 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-01-23 25.0 SPY 114. -0.0032 0.0057 0.0435 0.105 0.290 -0.142 -0.0859 <NA> NA NA NA
2 2004-01-26 25.3 SPY 116. 0.0126 0.0144 0.056 0.121 0.341 -0.140 -0.0818 <NA> NA NA NA
3 2004-01-27 25.1 SPY 115. -0.0103 0.0042 0.0462 0.107 0.346 -0.144 -0.0665 <NA> NA NA NA
4 2004-01-28 24.7 SPY 113. -0.0114 -0.015 0.0335 0.094 0.321 -0.160 -0.075 <NA> NA NA NA
5 2004-01-29 24.9 SPY 113. 0.001 -0.0115 0.0209 0.0804 0.312 -0.165 -0.0835 <NA> NA NA NA
6 2004-01-30 24.8 SPY 113. 0 -0.0083 0.0207 0.0789 0.344 -0.168 -0.0998 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
